NYSE American options: AON CUBE Orders available for testing

The previously announced enhancement to offer optional AON functionality as part of the NYSE American Options’ (the “Exchange”) CUBE price improvement auction mechanism is now available for testing in the Exchange’s Enhanced Certification environment.


This new functionality is planned to be made available in Q4 2020, pending regulatory effectiveness. To ensure readiness, client are encouraged to test AON CUBE by contacting the Technology Membership Services team at TMS@nyse.com.

Overview of AON CUBE orders

AON CUBE orders are available for Single-Leg and Complex CUBE orders and provide price improvement opportunities for paired orders with a minimum size requirement of 500 contracts.

On completion of an AON CUBE auction, the AON CUBE Order will execute in full at the single stop price against the Contra Order, unless there is sufficient qualifying price-improving interest that arrived during the Auction to satisfy the full quantity of the AON CUBE Order, in which case such interest would trade with the AON CUBE Order and the Contra Order would not receive an allocation.

Proprietary Market Data Feed Changes

In support of the new AON CUBE order functionality, the Exchange’s proprietary market data feed will be updated to indicate the CUBE order type on the CUBE RFQ Message. This market data change is currently planned to be activated on November 9, 2020.

The XDP Options Client Specification has been updated as follows: Replaced reserve field on Outright CUBE RFQ Message – Msg 415 and Complex CUBE RFQ message – Msg 472 with CUBE Type field with values: P – Price Improvement; F – Facilitation; or S – AON CUBE (Solicitation – pending regulatory approval).

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